Volatility Estimation And Option Pricing

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Volatility

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Author : Robert A. Jarrow
language : en
Publisher:
Release Date : 1998

Volatility written by Robert A. Jarrow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Derivative securities categories.

Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Volatility Estimation And Option Pricing

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Author : Jian Zou
language : en
Publisher:
Release Date : 2009

Volatility Estimation And Option Pricing written by Jian Zou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

Four Essays In Volatility Estimation And Option Pricing

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Author : 束景虹
language : en
Publisher:
Release Date : 2002

Four Essays In Volatility Estimation And Option Pricing written by 束景虹 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Options (Finance) categories.

Option Pricing Models And Volatility Using Excel Vba

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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2012-06-15

Option Pricing Models And Volatility Using Excel Vba written by Fabrice D. Rouah and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-15 with Business & Economics categories.

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

Volatility Estimation And Option Pricing With Fractional Brownian Motion

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Author : Daniel O. Cajueiro
language : en
Publisher:
Release Date : 2005

Volatility Estimation And Option Pricing With Fractional Brownian Motion written by Daniel O. Cajueiro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

We study the estimation of volatility using the Fractional Brownian Motion (FBM) to model asset returns. Then, we price some European options using a Black-Scholes type formula derived for the FBM market model.

Numerical Methods For Volatility Estimation And Option Pricing

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Author : Ibtissam Medarhri
language : en
Publisher:
Release Date : 2017

Numerical Methods For Volatility Estimation And Option Pricing written by Ibtissam Medarhri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Advanced Option Pricing Models

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Author : Jeffrey Owen Katz
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-03-21

Advanced Option Pricing Models written by Jeffrey Owen Katz and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-03-21 with Business & Economics categories.

Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.

Discrete Time Option Pricing With Flexible Volatility Estimation

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Author : Wolfgang Härdle
language : en
Publisher:
Release Date : 1997

Discrete Time Option Pricing With Flexible Volatility Estimation written by Wolfgang Härdle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.

A Sequential Quadratic Progamming Method For Volatility Estimation In Option Pricing

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Author : Bertram Düring
language : de
Publisher:
Release Date : 2006

A Sequential Quadratic Progamming Method For Volatility Estimation In Option Pricing written by Bertram Düring and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Improving Volatility Estimation And Options Hedging

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Author :
language : en
Publisher:
Release Date : 2001

Improving Volatility Estimation And Options Hedging written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.